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q-fin.TR2021
Self-exciting price impact via negative resilience in stochastic order books
Julia Ackermann, Thomas Kruse, Mikhail Urusov
Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation…
q-fin.TR2020
Optimal trade execution in an order book model with stochastic liquidity parameters
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and res…